Seminar Details
2023-03-07 (14h) : Structure-Aware Methods for Expensive Derivative-Free Nonsmooth Composite Optimization
At Euler building (room A.002)
Organized by Mathematical Engineering
Speaker :
Jeffrey Larson (Argone National Laboratory, USA)
Abstract :
We present new methods for solving a broad class of bound-constrained nonsmooth composite minimization problems. These methods are specially designed for objectives that are some known mapping of outputs from a computationally expensive function. We provide accompanying implementations of these methods: in particular, a novel manifold sampling algorithm with subproblems that are in a sense primal versions of the dual problems solved by previous manifold sampling methods and a method that employs more difficult optimization subproblems. For these two methods, we provide rigorous convergence analysis and guarantees. We demonstrate extensive testing of these methods.